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Research On Investment Strategy Of Stock Index Futures

Posted on:2003-09-05Degree:MasterType:Thesis
Country:ChinaCandidate:J H YeFull Text:PDF
GTID:2156360065955211Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
In recent years,with the quick development of our country's stock market,the stock index futures market is to be vividly portrayed." Better tools make good work",the investor only fully understands the market,he can fully use the tool to avoid the risk or get excess returns from investment in future,and can succeed in the coming increasingly fiercer rivalry. So far,there are fifty standard security portfolio funds in our country;three open-end funds have come out successively since 2001;After many domestic security companies increase the share capital,their strength is enhanced further;the insurance funds have entered the stock market indirectly from the middle 1999 and three kinds of enterprises have entered the market conditionally;the social security and pension fund will enter the capital market step by step,all these factors make the institutional investors develop over the normal speed. At the initial stage of the index futures market,the institutional investors are the main participants,therefore it's very important and urgent for them to understand and grasp the trading strategies of the stock index futures.Based on the discussion of the hedging strategy,the arbitraging strategy and the speculation strategy,this thesis studies some other important investment strategies,such as portfolio insurance,asset allocation,indexing and spreading strategy. As for the hedging strategy,this thesis mainly discusses its principle,the hedge ratio and the imperfect hedging strategy. With the prerequisite of reasonable hypothesis,the author starts from the general definition of the arbitrage ,obtains the no-arbitraging condition,namely the pricing model of the stock index futures,explains the other pricing models,and discusses the process of the index arbitrage with the model. After the introduction of the principle of portfolio insurance,which is based on the stock index put option;this thesis discusses how to create synthetic put option with the stock index futures. Because of the complexity and the risk of the stock index futures trade,the investor should attach importance to its risk. Therefore the author makes a study of the control of the index futures trade risk from the point of the institutional investors finally,and propose some suggestion from the money management,the operation strategy and the organization structure.
Keywords/Search Tags:Stock Index Futures, Trading Strategy, Hedge, Arbitrage, Risk
PDF Full Text Request
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